Reactive oxygen species (ROS) are important signaling molecules that mediate oxidative stress and cellular damage when improperly regulated. ROS and oxidative stress can activate autophagy, which generally serves as a cytoprotective negative feedback mechanism to selectively eliminate sources of ROS, including mitochondria and peroxisomes. In this review we describe the mechanisms by which ROS directly and indirectly activate autophagy, and conversely, how selective autophagy suppresses the formation of ROS. Furthermore, we highlight what appear to be contradictory examples in which ROS suppress, rather than activate, autophagy; and where selective autophagy promotes, rather than inhibits ROS production, thereby contributing to cell death. Given that ROS are implicated in cancer, diabetes, atherosclerosis, neurodegenerative diseases and ischemia/reperfusion injury, a deeper understanding of the connections linking ROS and autophagy is greatly needed.